diff --git a/doc/modules/covariance.rst b/doc/modules/covariance.rst
index c97676ea62108..50927f9a677f6 100644
--- a/doc/modules/covariance.rst
+++ b/doc/modules/covariance.rst
@@ -160,8 +160,10 @@ object to the same sample.
 
 .. topic:: References:
 
-    .. [2] Chen et al., "Shrinkage Algorithms for MMSE Covariance Estimation",
-           IEEE Trans. on Sign. Proc., Volume 58, Issue 10, October 2010.
+    .. [2] :arxiv:`"Shrinkage algorithms for MMSE covariance estimation.",
+           Chen, Y., Wiesel, A., Eldar, Y. C., & Hero, A. O.
+           IEEE Transactions on Signal Processing, 58(10), 5016-5029, 2010.
+           <0907.4698>`
 
 .. topic:: Examples:
 
diff --git a/sklearn/covariance/_shrunk_covariance.py b/sklearn/covariance/_shrunk_covariance.py
index 73a7ce233981b..5cdc9f3d212ad 100644
--- a/sklearn/covariance/_shrunk_covariance.py
+++ b/sklearn/covariance/_shrunk_covariance.py
@@ -44,9 +44,16 @@ def _ledoit_wolf(X, *, assume_centered, block_size):
 
 
 def _oas(X, *, assume_centered=False):
-    """Estimate covariance with the Oracle Approximating Shrinkage algorithm."""
-    # for only one feature, the result is the same whatever the shrinkage
+    """Estimate covariance with the Oracle Approximating Shrinkage algorithm.
+
+    The formulation is based on [1]_.
+    [1] "Shrinkage algorithms for MMSE covariance estimation.",
+        Chen, Y., Wiesel, A., Eldar, Y. C., & Hero, A. O.
+        IEEE Transactions on Signal Processing, 58(10), 5016-5029, 2010.
+        https://arxiv.org/pdf/0907.4698.pdf
+    """
     if len(X.shape) == 2 and X.shape[1] == 1:
+        # for only one feature, the result is the same whatever the shrinkage
         if not assume_centered:
             X = X - X.mean()
         return np.atleast_2d((X**2).mean()), 0.0
@@ -54,14 +61,33 @@ def _oas(X, *, assume_centered=False):
     n_samples, n_features = X.shape
 
     emp_cov = empirical_covariance(X, assume_centered=assume_centered)
-    mu = np.trace(emp_cov) / n_features
 
-    # formula from Chen et al.'s **implementation**
+    # The shrinkage is defined as:
+    # shrinkage = min(
+    # trace(S @ S.T) + trace(S)**2) / ((n + 1) (trace(S @ S.T) - trace(S)**2 / p), 1
+    # )
+    # where n and p are n_samples and n_features, respectively (cf. Eq. 23 in [1]).
+    # The factor 2 / p is omitted since it does not impact the value of the estimator
+    # for large p.
+
+    # Instead of computing trace(S)**2, we can compute the average of the squared
+    # elements of S that is equal to trace(S)**2 / p**2.
+    # See the definition of the Frobenius norm:
+    # https://en.wikipedia.org/wiki/Matrix_norm#Frobenius_norm
     alpha = np.mean(emp_cov**2)
-    num = alpha + mu**2
-    den = (n_samples + 1.0) * (alpha - (mu**2) / n_features)
+    mu = np.trace(emp_cov) / n_features
+    mu_squared = mu**2
 
+    # The factor 1 / p**2 will cancel out since it is in both the numerator and
+    # denominator
+    num = alpha + mu_squared
+    den = (n_samples + 1) * (alpha - mu_squared / n_features)
     shrinkage = 1.0 if den == 0 else min(num / den, 1.0)
+
+    # The shrunk covariance is defined as:
+    # (1 - shrinkage) * S + shrinkage * F (cf. Eq. 4 in [1])
+    # where S is the empirical covariance and F is the shrinkage target defined as
+    # F = trace(S) / n_features * np.identity(n_features) (cf. Eq. 3 in [1])
     shrunk_cov = (1.0 - shrinkage) * emp_cov
     shrunk_cov.flat[:: n_features + 1] += shrinkage * mu
 
@@ -536,7 +562,9 @@ def fit(self, X, y=None):
 # OAS estimator
 @validate_params({"X": ["array-like"]})
 def oas(X, *, assume_centered=False):
-    """Estimate covariance with the Oracle Approximating Shrinkage algorithm.
+    """Estimate covariance with the Oracle Approximating Shrinkage as proposed in [1]_.
+
+    Read more in the :ref:`User Guide <shrunk_covariance>`.
 
     Parameters
     ----------
@@ -560,14 +588,25 @@ def oas(X, *, assume_centered=False):
 
     Notes
     -----
-    The regularised (shrunk) covariance is:
+    The regularised covariance is:
 
-    (1 - shrinkage) * cov + shrinkage * mu * np.identity(n_features)
+    (1 - shrinkage) * cov + shrinkage * mu * np.identity(n_features),
 
-    where mu = trace(cov) / n_features
+    where mu = trace(cov) / n_features and shrinkage is given by the OAS formula
+    (see [1]_).
+
+    The shrinkage formulation implemented here differs from Eq. 23 in [1]_. In
+    the original article, formula (23) states that 2/p (p being the number of
+    features) is multiplied by Trace(cov*cov) in both the numerator and
+    denominator, but this operation is omitted because for a large p, the value
+    of 2/p is so small that it doesn't affect the value of the estimator.
 
-    The formula we used to implement the OAS is slightly modified compared
-    to the one given in the article. See :class:`OAS` for more details.
+    References
+    ----------
+    .. [1] :arxiv:`"Shrinkage algorithms for MMSE covariance estimation.",
+           Chen, Y., Wiesel, A., Eldar, Y. C., & Hero, A. O.
+           IEEE Transactions on Signal Processing, 58(10), 5016-5029, 2010.
+           <0907.4698>`
     """
     estimator = OAS(
         assume_centered=assume_centered,
@@ -576,20 +615,10 @@ def oas(X, *, assume_centered=False):
 
 
 class OAS(EmpiricalCovariance):
-    """Oracle Approximating Shrinkage Estimator.
+    """Oracle Approximating Shrinkage Estimator as proposed in [1]_.
 
     Read more in the :ref:`User Guide <shrunk_covariance>`.
 
-    OAS is a particular form of shrinkage described in
-    "Shrinkage Algorithms for MMSE Covariance Estimation"
-    Chen et al., IEEE Trans. on Sign. Proc., Volume 58, Issue 10, October 2010.
-
-    The formula used here does not correspond to the one given in the
-    article. In the original article, formula (23) states that 2/p is
-    multiplied by Trace(cov*cov) in both the numerator and denominator, but
-    this operation is omitted because for a large p, the value of 2/p is
-    so small that it doesn't affect the value of the estimator.
-
     Parameters
     ----------
     store_precision : bool, default=True
@@ -646,15 +675,23 @@ class OAS(EmpiricalCovariance):
     -----
     The regularised covariance is:
 
-    (1 - shrinkage) * cov + shrinkage * mu * np.identity(n_features)
+    (1 - shrinkage) * cov + shrinkage * mu * np.identity(n_features),
 
-    where mu = trace(cov) / n_features
-    and shrinkage is given by the OAS formula (see References)
+    where mu = trace(cov) / n_features and shrinkage is given by the OAS formula
+    (see [1]_).
+
+    The shrinkage formulation implemented here differs from Eq. 23 in [1]_. In
+    the original article, formula (23) states that 2/p (p being the number of
+    features) is multiplied by Trace(cov*cov) in both the numerator and
+    denominator, but this operation is omitted because for a large p, the value
+    of 2/p is so small that it doesn't affect the value of the estimator.
 
     References
     ----------
-    "Shrinkage Algorithms for MMSE Covariance Estimation"
-    Chen et al., IEEE Trans. on Sign. Proc., Volume 58, Issue 10, October 2010.
+    .. [1] :arxiv:`"Shrinkage algorithms for MMSE covariance estimation.",
+           Chen, Y., Wiesel, A., Eldar, Y. C., & Hero, A. O.
+           IEEE Transactions on Signal Processing, 58(10), 5016-5029, 2010.
+           <0907.4698>`
 
     Examples
     --------